3. A European-style call option, written on a stock priced at 10, has 3 months remaining until maturity. The strike price of the option is 9.50, the risk-free rate of interest is 1.5% and the volatility of the stock is 20% per year. What, according to the Black-Scholes model, is the value of the call option's delta? a. 0.691615 b. 0.600433 C. 0.725891 d. 0.500433 e. None of the above 4. The variance of returns on the PABLO250 stock index futures contract is 0.0676. The variance of returns on a PABLO250 index tracking portfolio is 0.0529. The coefficient of correlation between the index futures returns and portfolio returns is 0.88. What is the value of the minimum variance hedge ratio? a. -0.688639 b. -1.0 c. -0.994783 d. -0.778462 e. None of the above